March 12 (Bloomberg) -- Investors should take advantage of othersâ âfearâ of the night, according to a study by Goldman Sachs Group Inc. that shows holding U.S. stocks overnight since 1993 would have quadrupled an investment.
Buying futures on the Standard & Poorâs 500 Index, or a fund that replicates the benchmark for U.S. equities, just as the trading session ends and selling them when the market opens the next day has yielded 309 percent since 1993, New York-based analyst Peter Berezin wrote in a report sent to clients today. The inverse strategy lost 58 percent.
Investors and traders may have become more reluctant to hold securities overnight, when theyâre unable to react to market declines abroad, Berezin wrote. The S&P 500 has plummeted 54 percent since reaching a record in October 2007 as the crisis in credit markets and the collapse of banks including Lehman Brothers Holdings Inc. hammered equities, while the Chicago Board Options Exchange Volatility Index, the so-called gauge of fear, has more than doubled.
âA large number of market participants are averse to holding overnight positions, which causes them to sell at the close (thereby depressing intraday returns) and buy at the open (thereby inflating overnight returns),â Berezin wrote. âSuch aversion to overnight risk is likely to be higher during bear markets.â
http://www.bloomberg.com/apps/news?pid=20601213&sid=aXhs9g9il2rk
Buying futures on the Standard & Poorâs 500 Index, or a fund that replicates the benchmark for U.S. equities, just as the trading session ends and selling them when the market opens the next day has yielded 309 percent since 1993, New York-based analyst Peter Berezin wrote in a report sent to clients today. The inverse strategy lost 58 percent.
Investors and traders may have become more reluctant to hold securities overnight, when theyâre unable to react to market declines abroad, Berezin wrote. The S&P 500 has plummeted 54 percent since reaching a record in October 2007 as the crisis in credit markets and the collapse of banks including Lehman Brothers Holdings Inc. hammered equities, while the Chicago Board Options Exchange Volatility Index, the so-called gauge of fear, has more than doubled.
âA large number of market participants are averse to holding overnight positions, which causes them to sell at the close (thereby depressing intraday returns) and buy at the open (thereby inflating overnight returns),â Berezin wrote. âSuch aversion to overnight risk is likely to be higher during bear markets.â
http://www.bloomberg.com/apps/news?pid=20601213&sid=aXhs9g9il2rk